ACTION: On January 28, 2009, Shareholders of Sovereign Bancorp, Inc. (“SOV”) will vote concerning the proposed merger with Banco Santander, S.A. (“STD”). If the merger is approved and consummated, each existing SOV Common Share will be converted into the right to receive .3206 STD American Depositary Shares. Cash will be paid in lieu of fractional STD shares.
This action will be coordinated with the Options Clearing Corporation.
EQUITY SYMBOL: Sovereign Bancorp, Inc. (“SOV”)
ONE CHICAGO SYMBOL: SOV1C will change to SOV2C
CME FUTURES SYMBOL: S9 will change to SO9
MULTIPLIER: 100 (e.g., 1.00 equals $100.00)
EFFECTIVE DATE: Friday, January 30, 2009
NEW DELIVERABLE PER CONTRACT: 1) 32 Banco Santander, S.A. (“STD”) American Depositary Shares (“ADS’s”)
2) Cash in lieu of .06 fractional STD Shares*
*The cash portion of the deliverable remains permanently fixed as part of the deliverable, and does not vary with price changes of securities also included in the deliverable
APPLICABLE CONTRACT MONTHS: February, March, June, September 2009
SETTLEMENT PRICES AND POSITIONS: The underlying price for the SOV2C Futures contract deliverable, expressed in term of current market value, would be calculated as follows:
SOV2C = .32 (“TWGP”) + Cash in lieu
Please note that the valuation would apply only to the SOV2C deliverable in terms of current market value of the deliverable securities. The resulting price would not be equivalent to the daily settlement price of a futures contract month, whose determination would include cost of money carrying charges, adjustment for dividends, and other factors.
NOTES: The forecasted effect of the upcoming corporate event on each clearing firms’ positions can be viewed in infopac in the Corporate Event Initial Forecast Report (ONE712), the Corporate Event Final Forecast Report (ONE713), and the Corporate Event Forecast Audit Report (CPDBU710).
If you have any questions regarding the information provided in the document, please call CME Clearing risk management hotline at (312) 648-3888.